This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.

Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation / Demir, E.; Gozgor, G.; Lau, C. K. M.; Vigne, Samuel Alexandre. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 26:(2018), pp. 145-149. [10.1016/j.frl.2018.01.005]

Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Vigne, S. A.
2018

Abstract

This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.
Bitcoin, Cryptocurrencies, Economic policy uncertainty, Bayesian graphical model, Structural vector autoregressive, Quantile-on-quantile regression
Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation / Demir, E.; Gozgor, G.; Lau, C. K. M.; Vigne, Samuel Alexandre. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 26:(2018), pp. 145-149. [10.1016/j.frl.2018.01.005]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222621
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